G2TT
来源类型Discussion paper
规范类型论文
来源IDDP16196
DP16196 When Does Monetary Policy Sway House Prices? A Meta-Analysis
Tomas Havranek; Dominika Kolcunova; Josef Bajzik
发表日期2021-05-27
出版年2021
语种英语
摘要Several central banks have leaned against the wind in the housing market by increasing the policy rate preemptively to prevent a bubble. Yet the empirical literature provides mixed results on the impact of short-term interest rates on house prices: the estimated semi-elasticities range from -12 to positive values. To assign a pattern to these differences, we collect 1,447 estimates from 31 individual studies that cover 45 countries and 69 years. We then relate the estimates to 39 characteristics of the financial system, business cycle, and estimation approach. Our main results are threefold. First, the mean reported estimate is exaggerated by publication bias, because insignificant results are underreported. Second, omission of important variables (liquidity and long-term rates) likewise exaggerates the effects of short-term rates on house prices. Third, the effects are stronger in countries with more developed mortgage markets and generally later in the cycle when the yield curve is flat and house prices enter an upward spiral.
主题Monetary Economics and Fluctuations
关键词Iinterest rates House prices Monetary policy transmission Meta-analysis Publication bias Bayesian model averaging
URLhttps://cepr.org/publications/dp16196
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/545167
推荐引用方式
GB/T 7714
Tomas Havranek,Dominika Kolcunova,Josef Bajzik. DP16196 When Does Monetary Policy Sway House Prices? A Meta-Analysis. 2021.
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